Build wxHaskell from the darcs repository, configured with ./configure --enable-split-objs -hcprof, and follow the usual installation documentation from here on. The --enable-split-objs and -hcprof options are not mandatory, but they are nice to have

Note 2008-02-20: there was a bug that made --with-opengl necessary on some systems (depending on how wxWidgets was built), but it has been fixed